USD CLO Mezz/Equity

20 covers today, all mezz with the majority Sub-IG, note that US LLI dived 7bps on the day and as a result we saw some mild weakening in mezz dm’s.  At the AA and A levels there was less of an impact with bonds trading at their par ceilings, with new issue continuing to show a tightening feel (+150bp and +190bp context for AA & A respectively) even RRAM 2018-3A BR2 single-A (with coupon +180bps slightly inside new issue) trades at it’s par ceiling, market pricing in future tightening effect as mentioned yesterday.  BBB new issue talk now a shade tighter at +270-280bps but SNDPT 2013-1A B1R and NCC 2018-IA D both trade at a significant discount despite bond coupons in line with new issue (+270-300bps) and post NC, furthermore SNDPT 2015-1RA D1 which has a high coupon +375bps and NC is later this year trades at a discount (96.33) at 455dm.  Our generic BBB curve widens slightly to 360dm given the inherent callability likelihood is lower at this end of the stack despite coupon structures in line with new issue (and unlike AA/A), market is not pricing in callability likelihood on BBBs through end of year even at premium coupons to new issue, as mentioned.  At BB, our generic secondary curve shifts +2dm to 643dm, new issue remains in similar context, the effect of higher coupons have less of an impact at this end of the curve since credit factors and manager experience have far more influence.  Trading range today is 607dm-784dm, with APEXC 2019-2A E at the wide end 95.15 CVR at 984dm / 8.1y WAL – this also has a longer WAL (EoRP 2024), key credit factors / MVOC are aligned with comps but the manager’s (Apex) record is weaker than its peers with default rates almost double the peer group.

USD CLO AAA

A quieter start to the week, with a long holiday weekend in Europe as well, we observed 6 trades today, all high grade.  One x AAA trade NEUB 2017-16SA AR hits the par ceiling CVR 100.063 at 103dm / 6.7y WAL (coupon +104bps and NC 2023) whilst new issue remains in 105-115bps context and our generic secondary curve is 109dm so the market is pricing in some medium term tightening effect.

USD CLO Mezz/Equity

5 x AA trades all trade around their ceiling, with new issue context 150-170bps and our generic secondary curve slightly back to this at 174dm, lower coupon bonds (coupon<140bps) post NC trade at a very small discount, eg. OCT36 2018-1A B CVR 99.85 (+139bps coupon) at 142dm / 5.3y WAL despite the strong MVOC 132.9 and clean metrics, callability / coupon structure drive direction at this end of the capital stack.  Bonds with coupons >150bps (with NC of Oct this year in the case of MDPK 2016-22A BR) hit their par ceiling with market expecting a short-medium term tightening effect.

USD CLO AAA

US LLI hits a YTD high today (+4bp on the day) and we observe 25 trades today and AAA trades all hit their par ceilings as expected, a couple of bonds including VIBR 2018-8A A1A have MVOC <150 and an elevated ADR (1.5)  cover with a very small discount 99.95 at 116dm.  Our generic AAA curve is 108dm.

USD CLO Mezz/Equity

BBBs trade 301dm-431dm, our generic curve is 362dm with new issue in 290s context.  Execution today is not close to par despite the array of coupons on BBB trades > 300bps with a number of bonds with cuspy Jnr OC cushions so credit driving the tiering along with MVOC and manager profiling.  At BB our generic curve is 648dm with new issue in similar context, all trades today have coupons < 640bps so execution is at a discount across the board, however a short WAL bond GALL 2017-1A E covers at a tight level 98.87 at 574dm / 3.8y WAL (+540bps coupon) given a strong MVOC 107 and strong cushions (given the deal is delevering).  At the wide end is WITEH 2018-12A E CVR 93.86 at 756dm / 7.1y WAL (coupon +640bps) despite reasonable metrics the manager profile is inexperienced and performance has been lacklustre versus peers so this has a pronounced effect upon execution.  One x single-B trade YCLO 2018-1A F (York CLO) EoRP 2023 CVR 91.78 at 928dm which is right on our generic curve of 920dm – metrics looks clean (MVOC 104.8, ADR 0.99, Jnr OC cushion 4%) and this is a very good proxy for single-B.

EUR AAA CLO

There are 5 x AAA trades today. All have been callable for a while. All traded between 111dm and 124dm.

USD CLO AAA

Just shy of 40 trades today across all ratings.  AAA trade at par ceilings almost exclusively, including a 2nd pay LCM 30A A2 100.05 at 164dm / 7.4y WAL.

USD CLO Mezz/Equity

One double-A bond covers at par ceiling, single-A bonds cover near par and driven mostly by the margin structure.  Our generic curve is 227dm with new issue tighter and NEUB 2013-14A CR2 has a higher coupon +190bps and hence has higher callability with CVR 100.04 189dm, ARES 2018-47A C (coupon +175bps) CVR 99.71 at 181dm / 5.5y WAL.  BBB trade 281dm-407dm, our generic curve continues to grind tighter to 359dm.  WELF 2017-2A C is the standout bond with CVR 100.00 at 340dm, coupon is +340bps and NC was in March whilst the deal has good metrics aside from an elevated CCC 9.4% so callability is high.  At the BB level our generic curve tightens to 648dm (new issue around similar context) with bonds with coupons lower than 600bps trading the furthest distance from par, ATRM 12A ER (+525bps) covers 98.27 at 571dm / 4.3y WAL so whilst a lower coupon the MVOC is at the lower end 105.7 and CCC is very high 12.4 but other metrics clean.  Our Single-B curve tightens around 8dm to 920dm, AIMCO 2015-AX FR covers closest to par 98.65 (coupon +700bps) at 736dm / 4.5y – the MVOC is elevated (vs comps) at 105.7, ADR is low 0.2, Sub80 assets are low 1.7 and cushions strong from a manager with an excellent track record hence the tight level.

USD CLO AAA

US LLI continued to rebound and was up 3bp on the day (vs +8bp yesterday) with more than 30 trades executing into this form across all rating categories.  AAA bonds trade at their par ceiling, our generic curve is unchanged at 108dm which is close to new issue levels.

USD CLO Mezz/Equity

AA also behaves similar to AAA and trade at its ceiling, our generic curve is unchanged at 177dm with new issue 150-170bps guidance.  Single-A also trade at their par ceiling for the majority of trades, with our generic curve tightening in to 231dm (new issue 175-205bps guidance) only CRMN 2013-1A CR with a ‘lower’ coupon of +180bps trades at a small discount 99.90.  Another outlier trade is TRAL 2013-1A CR (EoRP 2021, coupon +280bps) covers at a discount 99.77 at 285dm due to weaker fundamentals (MVOC is low 115.6, Jnr OC cushion is cuspy 0.8 and manager record is weak).  At BBB our generic curve sharpens to 360dm with new issue in L200s-300area.  Higher coupon (>320bps) bonds with elevated MVOCs trade at their ceilings with tiering for the remainder driven by MVOC, credit factors and manager experience.  At the wide end is RMRK 2018-1A D (Shenkman Cap) CVR 94.28 at 407dm (coupon +302bps), EoRP is 2023 with a low MVOC 108.8, high ADR 2.3, cuspy Jnr OC cushion 1.1 whilst a weak manager record.  At BB our generic level maintains at 651dm with new issue in similar context, MVOC is a determinant in tiering but credit factors and manager experience play a bigger part in influencing execution levels as opposed to inherent callability (see PriceABS trade listing for full breakdown and analysis).  2 x single-B trades today, dm range is 888-973dm with tiering driven by MVOC, BALLY 2018-1A E covers 90h at 973dm / 8.4y WAL (EoRP 2023) – lower MVOC 103.2 with all other fundamentals clean with DRSLF 2013-28A B3LR covers 94.63 at 888dm / 6.4y WAL (EoRP 2022) – higher MVOC 105.2 with clean metrics, our single-B curve tightens by 3dm to 928dm.

EUR AAA CLO

Just 4 x AAA trades today. All four covered L100h which is L100s DM.

USD CLO AAA

A quieter start to the week with 10 trades and upbeat loan market (US LLI +8bps on Friday close).  Our AAA curve has shifted marginally tighter on the week to 108dm with new issue 105-115bp talk.  The only AAA trade today is a wide MM CLO from Cerberus CERB 2018-4RA A1TR that covers 99.91 at 157dm, this deal is post NC but has credit issues (ADR is almost 3%, Sub80 almost 6% and CCCs / WARF 4427 are very high) despite the coupon +153bps.

USD CLO Mezz/Equity

Single-A bonds all trade at their par ceilings, coupon range is 240-265bps at 240-259dm.  Our single-A generic curve is 236dm whilst new issues are in late 100s context so execution levels today are at par.  At BBB our generic curve is 361dm with new issue 300bp area, MOCAP 2014-1A DR covers near par given implied callability (coupon +360bps) but more the fact that the WAL is so short <3y / MVOC high 134.4 and the deal delevering (EoRP 2018) whilst cushions strong at the mezz end (Jnr OC cushion 6.4%).  On the other hand MCLO 2015-8A CR covers at a significant discount 92.09 – a number of reasons, the manager profile is very weak, MVOC is at the weaker end 108, ADR is elevated 2.9, Sub80 bucket is high 4.3, CCCs are high 10.3, Jnr OC cushion is -0.3 and tranche has endured 1 payment date PIK whilst is current last 3QTRs.  At BB our generic curve has shifted tighter on the week to 650dm whilst new issue is in 630bp area.  All bonds traded today have coupons < 630 and trade at a discount as a result, at the wide end is DEN16 2018-1A E that covers 89.03 at 786dm / 6.3y WAL (EoRP 2023 and post NC), credit performance is fine albeit slightly depressed Jnr OC cushion 1.1%.  The margin structure and the weaker manager record to peers have contributed to this discount to par.

EUR AAA CLO

Just 1 x AAA trade today. Avoca 22 traded at 100.18 / 112dm. It is performing well and isn't callable for over a year.

USD CLO AAA

Once again a heavy day of liquidity across the capital structure with 36 covers, US LLI bouncing back 9bps after 3 days of softening.  All AAAs hit their ceiling with those bonds closer to 100bps coupon trading closest to par and those with higher coupons and longer NCs trading at the highest premiums, eg. HLSY 2020-3A A1A (margin +145bps callable in 1y) covers 100.43 137dm.

USD CLO Mezz/Equity

Single-As trade at their ceiling, with the exception of COOK 2018-1A C CVR 99.57 at 183dm / 5.6y WAL.  Single-A new issues in the L200s and our generic secondary curve 233dm, this bond has a ‘lower’ coupon +175bps and is post NC so does trade with a small discount given callability likelihood.  BBB new issue is in L300s, our generic secondary curve is 357dm so bonds that typically have coupons >320bps hit par ceilings.  One exception today is OAKCL 2019-1A D (+380bps coupon) covers at a large discount 98.01 at 413dm / 7.1y WAL (EoRP 2024) with credit factors accounting for this – MVOC is lower 108.7, ADR elevated 2.7, CCC > 7.5 at 8.2 and Jnr OC cushion is cuspy 0.4.  At BB level, new issue is well into the 600s and our generic curve is 655dm, so higher coupon (675-700bps) commanding best prices 97-99 but there are some exceptions.  For instance, BABSN 2017-1A E (+600bp coupon) covers M99h given strong credit performance (MVOC 106.8, ADR 0.4, Jnr OC cushion 3.4).   Another day with single-B trades which provide some further data points.  Our generic secondary curve is 931dm, credit factors are the major influence here, for instance VENTR 2015-20A F covers MH80s 1053dm / 3.8y WAL – MVOC is cuspy 101, ADR is elevated 2.8, Sub80 is high 5.0, CCC is high 9.3 and Jnr OC cushion is cuspy 0.6 whilst the manager has a weaker record to its peers.  With little in the way of callability at this end of the stack these credit factors and manager profile drive tiering.  See PriceABS trade listing for more information.

EUR AAA CLO

There are 5 x AAA trades today. All are from 2017 and 2018 vintages and have been callable for over a year. Traded spreads are in the 120h to 130h area, which on average is 2 to 3bps tighter. Today Bloomberg have reported that Arbour 9 priced its new issue AAA at 80 over which is about 3bps tighter than recent deals although some of this tight print will be because OakTree are a very popular manager, rather than general market moves.

USD CLO AAA

More than 30 trades across the capital structure today, US LLI dipped for the third day in a row, today by 4bps.  Our generic AAA curve remains at 108dm and as mentioned recently bonds with coupons < 100bps are starting to hit their par ceilings, for instance SHACK 2015-8A A1R covers 99.98 (coupon +92bps) 94dm / 1.2y WAL, whilst DMs aren’t tightening any further than 90s for lower coupon bonds, eg. VENTR 2014-17A ARR (coupon +88bps) covers 99.90 at 96dm albeit a short WAL 1.2y which may have had an effect.

USD CLO Mezz/Equity

AA bonds continue hit ceiling, our generic curve is 177dm whilst DRSLF 2014-36A BR3 covers at par ceiling with a coupon +145bps – the deal is post reinvestment end whilst this bond isn’t callable (new issue AA 160-180bps) the performance is strong with MVOC 130.5 and strong cushions from a benchmark manager.  Our BBB generic curve tightens slightly to 358dm as more bonds trade at their ceilings including some bonds that have coupons <300bps and benefit from good performance, TRMPK 2015-1A DRR.  Exceptions are now migrating towards credit issues on the respective deals, for instance MVW 2015-9A CR (Seix) covers 95h with a 312bps coupon whilst new issue 300-320bps, MVOC is low 109.7, ADR elevated 1.9 and Jnr OC cushion is cuspy 0.9.  Our generic BB curve also tightens to 652dm as more bonds exchange hands at par ceilings given inherent callability, bonds with coupons <600bps continue to trade at a discount with the severity of the discount driven by MVOC, SNDPT 2018-2A E (+600bps coupon) covers 92.08 752dm (MVOC 104.4 which is at the low end).  There are 3 x single-Bs today which provide very good data points and we shift our generic curve tighter to 919dm.  All bonds that trade today are now CCC rated with coupons in the 700s with CVRs in VL90s 930dm-958dm and MVOC around 103 and at least 1% Jnr OC cushion so these are not distressed bonds and good indicators of the strength of the bid at this end of the capital structure.

EUR AAA CLO

There are 2 x AAA trades today, Ares 14 and Dryden 79. Both are 2020 vintage, traded at a premium and are callable. Both traded around 145dm. Bloomberg reported that 3 deals priced their reset today. Fair Oaks 1 and Sculptor 2 at 85bps and Euro Galaxy 7 at 83bps (over floored Libor).

USD CLO AAA

Just 9 covers today as the US LLI dipped 7bps on the day.  AAA covers hit their ceiling, despite new issue talk into the +110s we have our generic secondary curve at 108dm given the level of execution, CIFC 2017-1A AR for instance has a coupon of +101bps and covers 100.053 at 98dm (EoRP is this month) and market anticipates this bond is still callable.

USD CLO Mezz/Equity

Higher coupon (>300bps) BBB bonds continue to hit their par ceiling, with one exception today ZAIS1 2014-1A CR CVR 97.09 at 431dm – this is a credit impaired deal with MVOC 108.8, ADR elevated 3.2, Sub80 elevated 8.05, Jnr OC cushion cuspy 0.5 whilst the bond has been downgraded to BB-.  Our generic BBB curve is 360dm with new issue in early 300s.  With new issue BBs well into the 600s a short dated BB BANDM 2014-1A DR covers near par 99.5 at 491dm / 2.5y WAL (coupon +470bps) despite Jnr OC cushion highly negative -5.5 the bond or the subordinate bond isn’t yet picking but equity is without distributions for a year, the deal is delevering so expectations are this bond does redeem.  The other BB trade is ANCHC 2014-5RA E (Anchorage) CVR 97.8 at 594dm with bond recently into post-reinv phase, coupon structure is low to new issue +540bps whilst credit is good, the bond hence has little callability.  Our generic BB curve is 659dm.

USD CLO Mezz/Equity

22 IG mezz tranches exchanged hands today with the majority hitting their par ceilings, whilst US LLI shifted -2bps on Friday’s close.  1 x AA trade WELF 2017-3A A2 (Wellfleet) CVR 99.7 at 157dm. Execution is at a discount given this is a ‘lower’ coupon (+150bps), new issue talk is 160-180bps whilst our generic secondary curve is 177dm and credit factors are secondary to the margin structure at this end of the stack.  4 x single-A trades 191dm-239dm range with bonds again hitting their ceilings.  With new issue 200-210bps and our secondary curve 232dm best execution is on a callable bond ARES 2013-2A CR with a high coupon +240bps and CVR 100.035 despite weaker Jnr OC cushion 1.1% and an elevated cov-lite balance of 88%.  With regards to BBB, new issue talk is 300-320bps with our generic secondary curve slightly back to that also tighter (by 2dm) to 364dm.  BBB bonds with a coupon < 300bps today trade at a discount to par given the callability likelihood is inherently lower whilst bonds with coupons > 300bps hitting their par ceilings.  There is one outlier, a small clip of VOYA 2016-2A CR covers 99.05 at 422dm (high coupon +400bps) with EoRP July 2021 / NC passed, MVOC is at the low end 108.2, CCCs at the high end 9.9% whilst most importantly the Jnr OC cushion is only 1.1% and the manager’s record is weaker to its peers.

USD CLO AAA

A quiet end to the week with less than 10 covers and US LLI ticking up +2bp on the day.  AAA trades all hit their ceilings and trade in a 101dm-116dm range, bonds with coupons between 100-110bps are now hitting their ceiling, we also move our generic secondary curve tighter by around 6dm to 109dm aligned with new issue.

USD CLO Mezz/Equity

One x BB trade today RMRK 2017-1A D (coupon +665bps) covers below par 96.89 at 728dm / 6.4y WAL, our generic BB curve also tightened on the week, by 6dm to 665dm which again is more aligned with new issue.  However this trades below par given the callability is not a clear and obvious pathway given the bond’s coupon offers no buffer to new issue especially given bonds are offered in primary at a discount at the same coupon (mid 660s).  There is a single-B trade today KKR 21 F (coupon +725bps) covers also at a discount 90h at 904dm.  Incidentally our single-B curve has shifted tighter on the week to 928dm given the velocity of trading activity at this level of the stack.  With less visibility of single-Bs in primary and bonds being offered at a discount there is little in the way of callability of single-Bs and bonds as such trade at a significant discount, this bond from KKR has good overall credit performance and cushions are strong whilst the managers record is extremely strong so this bond offers good cashflow and redemption value for buy and hold investors who can ride the mtm.

USD CLO AAA

A pick up in activity today coincides with a second day or retrenchment in US LLI (+2bps on the day).  AAA broadly unchanged on the day (our secondary curve shifts 1bp wider to 114dm) whilst all but one trade hits the par ceiling.  This trade is a 2nd pay OAKTA 2017-IIIA A2 (OakTree) which covers 99.89 at 147dm / 5.1y WAL.

USD CLO Mezz/Equity

At the AA level, TELOS 2013-4A BR covers at a discount to par 99.88 183dm, the MVOC is low 124.2, Sub80 high and cushions are weaker (Jnr OC cushion 1.2).  With new issue talked 160a (our generic secondary curve is 171dm) both the AA trades today (coupons 175-180bps) are callable and hence trade at or around par, including this Telos bond.  Similar story with single-A with new issue talked H100s-L200s area (SCI secondary level 230dm) the trades today carry coupons 245bps+ so bonds have inherent callability so trades are around the par ceiling.  The exception is ZAIS7 2017-2A C that covers 97.06 312dm / 4.8y WAL – MVOC is low 114, ADR is elevated 2.5, Sub80 high 5.95, CCC high 8.5 and Jnr OC cushion is cuspy 1.2.  BBB trades today are generally around the ceiling, new issue talked 330a and our generic curve is 370dm.  Outlier is BSMC 2013-1A DR (lower coupon +265bps) CVR 99h 281dm, Jnr OC cushion is cuspy 0.5 and deal delevering so this bond has less callability than others.  ELMW1 2019-1A DR (Elmwood) covers above par 102.23 408dm and has a high coupon +440bps with NC just over a year away with good credit performance and cushions so has strong risk adjusted cashflows for the next year.  BB trade in a wide dispersion 584dm-837dm from a range of profiles.  At the wide end is Steele Creek’s STCR 2014-1RX E CVR 88.56 837dm – bond has a lower coupon 575bps (our secondary curve 687dm with new issue around similar context), low MVOC 103, CCC 8%, high ADR 1.8 and cuspy 1.45.  2 x single-B trades today (both CCC rated now) 994dm-1185dm with bond bonds ‘lower’ relative coupons 798-825bps (our secondary curve 962dm) with new issue talk high 800s at discount.  The CGMS 2015-3X ER has a cuspy MVOC 101.75 and Jnr OC cushion is 1.1 whilst the deal is delevering with our calculated dm of 1185 this offers good value to buy and hold investors that aren’t constrained by capital costs and prepared to hold this to maturity (shorter WAL 4.3y).

USD CLO Mezz/Equity

All mezz trades today, BBB and below whilst US LLI dropped only 1bp today after 2 consecutive days of bigger drops in price.  With new issue BBBs talked 330bps area all of the traded bonds today have a path to call trading at or near their ceiling since coupons are typically 365bps+ with one outlier Alinea CLO D (Invesco) with a coupon of +310bps that trades at the ceiling 100.03 309dm / 6.1y WAL.  The performance of this bond is sound along with a strong manager record despite the lower relative coupon and lower MVOC versus other bonds that trade today, but the MVOC is in line with similar vintage bonds.  A number of BB bonds trade at their ceiling, these are limited to bonds with coupons > 650bps, with bonds from ICG, ORIX and Invesco all still within NC period.  At the wider end of the scale is a bond from MJX VENT 29 E that covers 89.09 (coupon +625bps) 859dm but has considerably weaker metrics – MVOC 102.9, Jnr OC cushion 1.6, Sub80 2.9, a higher retail % balance than its peers at last cut off (3.7%) and finally the manager’s record is weaker to its peers.  This deal has just been refi’d at the end of March with this tranche unchanged.  Just one x single-B trade today CIFC 2018-3X F CVR 92.78 at 898dm / 7.9y WAL (coupon +765bps), with new issue single-Bs talked high 800s priced at discounts there is little or no path to reset on this bond.  Nonetheless the performance is strong all round on this bond from a credit point of view, cushions are healthy from a benchmark manager.  This dm is around 80dm tighter to our generic single-B dm curve of 982dm so is reflective of the outperformance.

EUR AAA CLO

Just 1 AAA today. Carlyle 2015-3, which has been callable for some time, traded at 100.06 / 124dm.

USD CLO AAA

An active day all round with 24 covers with a majority of mezz, with some softening of these levels whilst US LLI has now dropped 10bps since Friday close.  With only one AAA bond today and it being a very short dater from a static CLO there is not much guidance here on any potential softening effect – the bond is PSTAT 2018-5A A1 from Palmer Square and it trades at its par ceiling 100.06 at 77dm / 0.8y WAL. 

USD CLO Mezz/Equity

Single-As trades are both high coupon 3.0s (240-275bps) and they trade at a slight premium to par as we have seen of late for this demographic, dm range is 235dm-267dm whilst credit performance is strong and cushions very healthy.  Our BBB generic curve has softened a little on the day around 10-15dm to 373dm, with those bonds that carry coupons of >400bps+ trading at their par ceiling, typically 2019 and 2020 vintages.  With regards to the older vintages there is a fair amount of volatility driven in part by coupon structure but also MVOC.  For instance at the wide end is OCTR 2014-5A DRR (Five Arrows) which has been downgraded to BB+ and has a lower relative coupon of +345bps, low MVOC 108.9, high ADR 1.6, elevated Sub80 2.4, higher WARF 3251, CCC 8.3 and cuspy Jnr OC cushion 0.9 from an inexperienced manager albeit managing to a higher Jnr OC average versus its peers across all deals (3.2).  BBs also softened but not by as much to 673dm on our generic curve, trading range is 669dm-797dm with a rare bond BSP 2019-19A E trading at its par ceiling, metrics are notably strong – MVOC 107.3, Sub80 0.95, CCC 3.9, high coupon 702bps, strong Jnr OC cushion 5.3 from a benchmark manager.  Cost of funding on this deal is high 192bps (AAA +135bps which is 20bps wide to market) with the deal callable from Jan next year so with the medium term prospects looking healthy this bond does have some inherent callability.  It was encouraging to see some single-B data points today, 2 trades from original single-B which are now downgraded to CCC, MVOC >100 on both whilst performance is not particularly bad on the Octagon single-B, the AVERY 2015-6A F covers 86.58 at 1071dm with Jnr OC cushion cuspy 0.3 so not PIKing yet whilst the lower relative coupon +680bps doesn’t represent enough cashflow to offset the potential deferability of this bond even as it delevers from an investor point of view.

USD CLO AAA

Only 9 covers today, all high grade.  AAA bonds all trade at their par ceiling, with all bonds within their NC with the exception of MJX’s VENTR 2020-39A A1 which has a NC of Jan 2022 with a high coupon +128bps and most favourable execution today at 100.12 at 126dm, our generic AAA DM curve remains unchanged at 116dm.

USD CLO Mezz/Equity

3 x AA bonds trade today, with our generic curve tightening since month end around 7bp to 166dm.  The three bonds that trade today are 2.0s with low coupons (130bps-140bps) hence the execution levels are at a discount to par with dm range 143dm-150dm, with credit factors having only a minimal impact upon execution prices at this end of the capital stack.

EUR AAA CLO

This is the first meaningful day’s trading in EUR CLOs since the Easter break. There are 10 x AAA trades today. Contego 2, Sorrento Park and Cairn 6 are all in amortisation and traded between 90dm and 130dm. The other AAAs, which are mostly 2020 vintage have traded in a range from 140dm to 220dm depending on their margin and time to call.

USD CLO Mezz/Equity

Just the one trade to end the week.  Eaton Vance's EATON 2020-1A C cover at par ceiling 100.53 at 270dm / 5.85y WAL.  This is a high coupon 3.0 CLO with exceptional performance with a defensive structure and given the ceiling was unlikely to move to our generic secondary level of 220dm which is aligned with new issue talk.  This bond is callable from August this year so the market is pricing in a call but unlikely that single-As will tread significantly tighter hence the ceiling is met.

USD CLO AAA

Busiest day in a couple of weeks with > 50 trades and US LLI ticking up another 9bps today following +11bps yesterday.  Fairly consistent execution on AAA with trades at or around the par ceiling with slightly weaker execution on AAA bonds with coupons < our generic secondary level of 115dm.

USD CLO Mezz/Equity

AA execution similar to AAA with bonds today hitting the par ceiling, with the exception of DEN11 2015-1A A2RR (Crestline) which has a low coupon +165bps which is at the tight end of new issue guidance, it covers 171dm which is at our generic secondary level 170dm.  BBBs trade in a very wide dispersion 262dm-509dm, this is explained by a variety of profiles including highly distressed bonds, delivered/short WALs and credit impaired.  At the wide end and DNT (best bid 85.61) and clear outlier is a highly distressed bond from Bardin Hill HLA 2014-3A D covers 85.61 / 908dm 3y WAL and is a downgraded original BBB to BB – Sub80 is high 17.4, MVOC is low 103.5, WARF is high 3752, Jnr OC cushion -15.4 and CCC 20%.  The note is not PIKing but is PIKable with the 3 bond tranches beneath is PIKing and the equity not receiving distributions for 2 years now.  We have tightened our BBB curve very slightly to 353dm further to today’s execution levels.  More than 30 x BB trades today in a 200dm dispersion, 606dm-810dm range.  BB bonds with MVOC < 105 being met with bids <95, for instance at the wide end is Vibrant’s VIBR 2018-9X D CVR 90.55 810dm 6.9y WAL – MVOC 104.6 and bond coupon +625bps, without looking at the credit factors on this bond the callability is low given the coupon structure is much lower than new issue 675-700bps and our secondary level 665dm.  Now, taking into context credit – Sub80 assets high at 2.95, Jnr OC cushion cuspy 1.2, ADR 1.45, CCC 7%, cov-lite 21% and the manager’s record is weaker to peers.  At the other end of the scale is York’s YCLO 2019-2A E that covers near par ceiling 99.77 at 698dm 8.9y WAL - the manager has a better track record, bond coupon is high +694bps (NC 6m away), MVOC 108.4, Sub80 1.3, ADR 0.6 and Jnr OC cushion strong 5.5.

EUR AAA CLO

We have the first EUR CLO BWIC trades since the Easter break today.  2 x AAA traded. Both are callable but Black Diamond 2015-1 is in amortisation. Adagio 6 traded at 126dm and Black Diamond 2015-1 at 114dm, which is about 2bps tighter than our curve.

USD CLO AAA

A further pick up in activity with 25 covers today, with the majority in mezz, US LSTA Index continued to firm up +11bps on the day.  Our AAA generic secondary curve remains 115dm, a familiar theme on execution with bonds carrying coupons < this generic level cover <par (albeit very slight discount).

USD CLO Mezz/Equity

1 x AA trade OZLM 2015-13A A2R which is low coupon (+165bps) and lower than our generic secondary curve again (168dm), with new issue short end 145/150bps area and long end 170bps area there is no a clear path to call on this bond.  Furthermore ADR is elevated 1.7, IDT cushion is negative -0.5 and CCC is high at 9.7 so net effect weaker execution with CVR 99.93 at 168dm in line with our curve.  BBB bonds also trade at a discount, our generic curve is slightly tighter 354dm (new issue 330/335bps area) with the trades today carrying coupons 260bps-300bps and execution 328dm-351dm bringing our curve in 2bps.  A large number of BB trades today with a significant dispersion in execution 605dm-820dm, our generic curve tightens slightly to 660dm with new issue slightly back 675-700bps area.  Notably two BB bonds that are not callable till later this year at the earliest, carrying high coupons > secondary / primary, execute well above par 101h and 102h.  The high current cashflow of a BB rated bond with at least 8pts of OC, strong cushions (Jnr OC cushions >5%) and solid credit performance remain attractive to investors in this low rate environment.  These 2 bonds are managed by Blackrock and HalseyPoint respectively and can be seen on our trade listing today - MAGNE 2019-24A E and HLSY 2020-3A E.  At the other end of the spectrum, Alcentra’s SHACK 2013-3X ER covers 89h – coupon is low +588bps, MVOC is low 104, ADR is elevated 1.3, CCC high at 10.3 and Jnr OC cushion is low at 1.2 so path to reset is unlikely near term.

USD CLO AAA

A pick up in activity with 19 covers today off the back of the limited number of trades yesterday.  AAA continue to execute at the par ceiling with bonds carrying coupons of <110bps executing with covers with a very small discount.  Our generic secondary curve is unchanged at 115dm with US LSTA Index up 8bps on the day.

USD CLO Mezz/Equity

Three single-A trades today in a narrow trading range 200dm-209dm (bond coupon dispersion 180bps-205bps) with our generic secondary curve more  aligned with new issue longer WALs at 216dm.  Trades today do not benefit from high callability hence execution is not at the par ceiling.  PGIM’s DRSLF 2019-75A CR2 suffers from the weakest execution at 98h given lower bond coupon +180bps, elevated ADR 1.3 and Sub80 2.3 and CCC at it’s threshold 7.5%.

USD CLO AAA

4 trades today, with 3 of the bonds trading at the par ceiling whilst US LLI bounces back 11bps from Friday's close.  Our generic secondary AAA curve had shifted slightly wider to 115dm off the back of some isolated month end weakness but likely normalise given the positive momentum today.  CIFC Funding 2018-I A covers slightly below par given callability linked to the margin structure (+100bps) is below primary reset levels and as such secondary execution is a touch softer at 99.88 at 103dm.  This deal is managed by a benchmark manager CIFC, with strong cushions (Jnr OC cushion 4.5) but MVOC is a around 4pts back from other comps at 150.23, whilst CCC is high at 7.3 and Sub80 priced assets slightly elevated at 2.3%.